Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 12 (1D) Nov 13 (2D) Nov 14 (3D) Nov 17 (6D) Nov 18 (7D) Nov 19 (8D) Nov 20 (9D) Nov 21 (10D) Nov 24 (13D) Nov 25 (14D) Nov 28 (17D) Dec 05 (24D) Dec 12 (31D) Dec 19 (38D) Dec 26 (45D)
lower 674.385 671.782 669.784 665.276 664.042 662.894 661.816 660.796 658.01 657.155 654.757 649.881 645.678 641.928 638.511
upper 686.955 689.558 691.556 696.064 697.298 698.446 699.524 700.544 703.33 704.185 706.583 711.459 715.662 719.412 722.829
expected move 6.285 8.888 10.886 15.394 16.628 17.776 18.854 19.874 22.66 23.515 25.913 30.789 34.992 38.742 42.159
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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